An Introduction to Econometric Theory

Intended primarily to prepare first-year graduate students for their ongoing work in econometrics, economic theory, and finance, this innovative book presents the fundamental concepts of theoretical econometrics, from measure-theoretic probability to statistics. A. Ronald Gallant covers these topics at an introductory level and develops the ideas to the point where they can be applied. He thereby provides the reader not only with a basic grasp of the key empirical tools but with sound intuition as well. In addition to covering the basic tools of empirical work in economics and finance, Gallant devotes particular attention to motivating ideas and presenting them as the solution to practical problems. For example, he presents correlation, regression, and conditional expectation as a means of obtaining the best approximation of one random variable by some function of another. He considers linear, polynomial, and unrestricted functions, and leads the reader to the notion of conditioning on a sigma-algebra as a means for finding the unrestricted solution. The reader thus gains an understanding of the relationships among linear, polynomial, and unrestricted solutions. Proofs of results are presented when the proof itself aids understanding or when the proof technique has practical value. A major text-treatise by one of the leading scholars in this field, "An Introduction to Econometric Theory" will prove valuable not only to graduate students but also to all economists, statisticians, and finance professionals interested in the ideas and implications of theoretical econometrics.

ISBN 0691016453   Pages 208 ISBN13 9780691016450 (What's this?)   Volumes 1 Publisher The University Press Group Ltd   Weight (grammes) 514 Imprint Princeton University Press   Published in New Jersey Format Hardback   Height (mm) 229 Publication date 07 Jul 1997   Width (mm) 152 Library of Congress HB139.G35   Spine width (mm) 18 DEWEY 330.015195   Academic level Professional / Scholarly, Tertiary education DEWEY edition DC21

		Preface
Ch. 1		Probability		3
Ch. 2		Random Variables and Expectation		45
Ch. 3		Distributions, Transformations, and Moments		79
Ch. 4		Convergence Concepts		127
Ch. 5		Statistical Inference		147
		Appendix: Distributions		189
		References		197
		Index		199

This is an excellent book ... There are chapters on probability, random variables and expectations, distributions and convergence concepts... It is very concise, yet treat most relevant topics in a clear and precise way. -- Mathematical Reviews

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